How Much Screening Buys a Second? Speed, Selection, and the Maker's Spread

Abstract

We study the spread a liquidity provider needs to break even against counterparties that can exploit a stale quote, and we place two defenses on a single scale: repricing sooner and screening informed flow. A break-even condition pins down the exact screening rate at which a slower maker matches a faster unscreened venue: the selection that buys back the extra staleness. The result requires only an integrable price innovation and therefore holds under jumps, atoms, and infinite variance. Predictable drift is a centering problem: it widens a spot-centered quote, but its cost vanishes once the quote is recentered on the expected reference. In four USDC-WETH pools benchmarked against Binance ETH-USDT from June to August 2026, the one-second benchmark innovation is sharply non-Gaussian: 73% of seconds show no price change. Cutting cadence from twelve seconds to one sheds 84.5% of the expected shock, so a twelve-second maker must screen at least 84.5% of informed flow to match a one-second venue, far above the 71.1% that a Gaussian model implies. In trending markets, the stale pool is picked off at execution: with-trend fills obtain an effective spread 11.1 bps lower than against-trend fills, with the same sign in all four pools.